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Secured Debt Arrangements, Net
 9 Months Ended
Sep. 30, 2020
Debt Disclosure [Abstract]  
Secured Debt Arrangements, Net Secured Debt Arrangements, Net
At September 30, 2020 and December 31, 2019, our borrowings included the following secured debt arrangements, maturities and weighted-average interest rates ($ in thousands):
 
September 30, 2020December 31, 2019
 
Maximum Amount of Borrowings(1)
Borrowings Outstanding(1)
Maturity (2)
Maximum Amount of Borrowings(1)
Borrowings Outstanding(1)
Maturity (2)
JPMorgan (USD)$1,132,013 $989,278 June 2024$1,154,109 $1,090,160 June 2024
JPMorgan (GBP)97,661 97,661 June 202451,702 50,410 June 2024
JPMorgan (EUR)70,326 70,326 June 202494,189 94,189 June 2024
DB (USD)1,000,000 526,743 March 20231,250,000 513,876 March 2021
Goldman (USD)500,000 362,139 November 2021500,000 322,170 November 2021
CS - USD378,903 378,781 
January 2023(3)
226,068 218,644 June 2020
CS - GBP— — 
N/A(4)
93,915 93,915 June 2020
HSBC - USD47,223 47,223 January 202150,625 50,625 October 2020
HSBC - GBP— — N/A34,634 34,634 June 2020
HSBC - EUR157,148 157,148 July 2021154,037 154,037 January 2021
Barclays (USD)200,000 35,192 March 2024N/AN/AN/A
Barclays (GBP)— — 
N/A(4)
538,916 290,347 
February 2024(5)
Barclays (EUR)— — 
N/A(4)
182,549 182,549 November 2020
Total Secured Credit Facilities3,583,274 2,664,491 4,330,744 3,095,556 
Barclays Private Securitization813,592 813,592 
March 2024(5)
N/AN/AN/A
Total Secured Debt Arrangements4,396,866 3,478,083 4,330,744 3,095,556 
less: deferred financing costsN/A(12,746)N/A(17,190)
Total Secured Debt Arrangements, net(6)(7)(8)
$4,396,866 $3,465,337 $4,330,744 $3,078,366  
———————
(1)As of September 30, 2020, British Pound Sterling ("GBP") and Euros ("EUR") borrowings were converted to U.S. Dollars ("USD") at a rate of 1.29 and 1.17, respectively. As of December 31, 2019, GBP and EUR borrowings were converted at a rate of 1.33 and 1.12, respectively.
(2)Maturity date assumes extensions at our option are exercised with consent of financing providers, where applicable.
(3)Assumes financings are extended in line with the underlying loans.
(4)As of September 30, 2020, there are no loans pledged to this facility.
(5)Represents weighted average maturity across various financings with the counterparty. See below for additional details.
(6)Weighted-average borrowing costs as of September 30, 2020 and December 31, 2019 were USD L + 2.15% / GBP L + 1.82% / EUR L + 1.46% and USD L + 2.07% / GBP L + 1.75% / EUR L + 1.36%, respectively.
(7)Weighted average advance rates based on cost as of September 30, 2020 and December 31, 2019 were 64.3% (63.8% (USD) / 67.9% (GBP) / 61.3% (EUR)) and 63.8% (66.7% (USD) / 47.1% (GBP) / 76.1% (EUR)).
(8)As of September 30, 2020 and December 31, 2019, approximately 55% and 54% of the outstanding balance under these secured borrowings were recourse to us.

Each of our existing secured debt arrangements include "credit based and other mark-to-market" features. "Credit mark-to-market" provisions in repurchase facilities are designed to keep the lenders' credit exposure generally constant as a percentage of the underlying collateral value of the assets pledged as security to them. If the credit of the underlying collateral value decreases, the amount of leverage available to us will be reduced as our assets are marked-to-market, which would reduce our liquidity. Generally, the lender under the applicable secured debt arrangement calls for and/or sets the valuation and any revaluation of the collateral assets in its sole, good faith discretion. If it is determined (subject to certain conditions) that the market value of the underlying collateral has decreased by more than a defined minimum amount, the lender may require us to provide additional collateral or may make margin calls, which may require us to repay all or a portion of the funds advanced. We closely monitor our liquidity and intend to maintain sufficient liquidity on our balance sheet in order to meet any margin calls in the event of any significant decreases in asset values. As of September 30, 2020 and December 31, 2019, the weighted average haircut under our secured debt arrangements was approximately 35.7% and 36.2%, respectively. In addition, our existing secured debt arrangements are not entirely term-matched financings and may mature before our commercial real estate debt investments that represent underlying collateral to those financings. We are in frequent dialogue with the lenders under our secured debt arrangements regarding our management of their collateral assets and as we negotiate renewals and extensions of these liabilities, we may experience lower advance rates and higher pricing under the renewed or extended agreements.
JPMorgan Facility
In November 2019, through three indirect wholly-owned subsidiaries, we entered into a Sixth Amended and Restated Master Repurchase Agreement with JPMorgan Chase Bank, National Association (as amended, the "JPMorgan Facility"). The JPMorgan Facility allows for $1.3 billion of maximum borrowings (with amounts borrowed in British pounds and Euros converted to USD for purposes of calculating availability based on the greater of the spot rate as of the initial financing under the corresponding mortgage loan and the then-current spot rate) and matures in June 2022 and has two one-year extensions available at our option, which are subject to certain conditions. The JPMorgan Facility enables us to elect to receive advances in USD, GBP, or EUR. Margin calls may occur any time at specified aggregate margin deficit thresholds.
As of September 30, 2020, we had $1.2 billion (including £75.6 million and €60.0 million assuming conversion into USD) of borrowings outstanding under the JPMorgan Facility secured by certain of our commercial mortgage loans.
DB Facility
In March 2020, through an indirect wholly-owned subsidiary, we entered into a Third Amended and Restated Master Repurchase Agreement with Deutsche Bank AG, Cayman Islands Branch, London Branch (as amended, the "DB Facility"), which provides for advances of up to $1.0 billion for the sale and repurchase of eligible first mortgage loans secured by commercial or multifamily properties located in the United States, United Kingdom and the European Union, and enables us to elect to receive advances in USD, GBP, or EUR. The repurchase facility matures in March 2021, and has two one-year extensions available at our option, subject to certain conditions. Margin calls may occur any time at specified aggregate margin deficit thresholds.
As of September 30, 2020, we had $526.7 million of borrowings outstanding under the DB Facility secured by certain of our commercial mortgage loans.
Goldman Facility
In November 2017, through an indirect wholly-owned subsidiary, we entered into a master repurchase and securities contract agreement with Goldman Sachs Bank USA (the "Goldman Facility"), which provides advances up to $500.0 million and matures in November 2020, and has one one-year extension available at our option, subject to certain conditions. Margin calls may occur any time at specified margin deficit thresholds.
As of September 30, 2020, we had $362.1 million of borrowings outstanding under the Goldman Facility secured by certain of our commercial mortgage loans.
CS Facility - USD
In July 2018, through an indirect wholly-owned subsidiary, we entered into a Master Repurchase Agreement with Credit Suisse AG, acting through its Cayman Islands Branch and Alpine Securitization Ltd (the "CS Facility - USD"), which provides for advances for the sale and repurchase of eligible commercial mortgage loans secured by real estate. The CS Facility - USD has an "evergreen" feature such that the facility continues unless terminated at any time by Credit Suisse with six months' notice. Margin calls may occur any time at specified aggregate margin deficit thresholds.
As of September 30, 2020, we had $378.8 million of borrowings outstanding under the CS Facility - USD secured by certain of our commercial mortgage loans.
CS Facility - GBP
In June 2018, through an indirect wholly-owned subsidiary, we entered into a Global Master Repurchase Agreement with Credit Suisse Securities (Europe) Limited (the "CS Facility - GBP"). During the third quarter of 2020, the facility was repaid in connection with the sale of the underlying loan.
HSBC Facility - USD    
In October 2019, through an indirect wholly-owned subsidiary, we entered into a secured debt arrangement with HSBC Bank plc (the "HSBC Facility - USD"), which provides for a single asset financing. The facility is scheduled to mature in January 2021. Margin calls may occur any time at specified aggregate margin thresholds.
As of September 30, 2020, we had $47.2 million of borrowings under the HSBC Facility - USD secured by one commercial mortgage loan.
HSBC Facility - GBP
In September 2018, through an indirect wholly-owned subsidiary, we entered into a secured debt arrangement with HSBC Bank plc (the "HSBC Facility - GBP"), which provided for a single asset financing. The facility matured and was repaid in June 2020 in connection with the repayment of the underlying loan.
HSBC Facility - EUR
In July 2019, through an indirect wholly-owned subsidiary, we entered into a secured debt arrangement with HSBC Bank plc (the "HSBC Facility - EUR"), which provides for a single asset financing. The facility matures in July 2021. Margin calls may occur any time at specified aggregate margin deficit thresholds.
As of September 30, 2020, we had $157.1 million (€134.1 million assuming conversion into USD) of borrowings outstanding under the HSBC Facility - EUR secured by one commercial mortgage loan.
Barclays Facility - USD
In March 2020, through an indirect wholly-owned subsidiary, we entered into a secured debt arrangement pursuant to a Master Repurchase Agreement with Barclays Bank plc ("Barclays Facility - USD"). The Barclays Facility - USD allows for $200.0 million of maximum borrowings and initially matures in March 2023 with extensions available at our option, subject to certain conditions. Margin calls may occur any time at specified aggregate margin deficit thresholds.
As of September 30, 2020, we had $35.2 million of borrowings outstanding under the Barclays Facility - USD secured by one commercial mortgage loan.
Barclays Facility - GBP/EUR
Beginning in October 2019, through an indirect wholly-owned subsidiary, we entered into five secured debt arrangements pursuant to a Global Master Repurchase Agreement with Barclays Bank plc (the "Barclays Facility - GBP/EUR"). In June 2020, all assets previously financed pursuant to this facility were refinanced under the Barclays Private Securitization.
Barclays Private Securitization
In June 2020, through a newly formed entity, we entered into a private securitization with Barclays Bank plc, of which Barclays Bank plc retained $782.0 million of senior notes. This Barclays Private Securitization finances the loans that were previously financed under the Barclays Facility - GBP/EUR. In addition, we pledged an additional commercial mortgage loan with an outstanding principal balance of £26.0 million and pledged additional collateral of a financed loan of €5.3 million as of June 30, 2020.
The securitization eliminates daily margining provisions and grants us significant discretion to modify certain terms of the underlying collateral including waiving certain loan-level covenant breaches and deferring or waiving of debt service payments for up to 18 months. The securitization includes LTV based covenants with significant headroom to existing levels that are also subject to a six-month holiday through December 2020. These deleveraging requirements are based on significant declines in the value of the collateral as determined by an annual third-party (engaged by us) appraisal process tied to the provisions of the underlying loan agreements. We believe this provides us with both cushion and predictability to avoid sudden unexpected outcomes and material repayment requirements. In addition to the pledge of the additional collateral noted above, we paid down the previous financing by €16.5 million (totaling $18.5 million in USD) and agreed to increase the financing spreads by 0.25%.
The table below provides the borrowings outstanding (on an as converted basis) and weighted-average fully-extended maturities by currency for the assets financed under the Barclays Private Securitization as of September 30, 2020 ($ in thousands):
Borrowings outstanding
Fully-Extended Maturity(1)
Total/Weighted-Average GBP$670,024
January 2024
Total/Weighted-Average EUR143,568
August 2021(2)
Total/Weighted-Average Securitization$813,592March 2024
———————
(1)Assumes underlying loans extend to fully extended maturity and extensions at our option are exercised.
(2)The EUR portion of the Barclays Private Securitization has an "evergreen" feature such that the facility continues for one year and can be terminated by either party on certain dates with, depending on the date of notice, a minimum of nine to twelve months' notice.

    The table below provides the assets and liabilities of the Barclays Private Securitization VIE included in our condensed consolidated balance sheet ($ in thousands):
September 30, 2020
Assets:
Cash$921 
Commercial mortgage loans, net(1)
1,224,154 
Other Assets9,401 
Total Assets$1,234,476 
Liabilities:
Secured debt arrangements, net (net of deferred financing costs of $0.2 million)
$813,431 
Accounts payable, accrued expenses and other liabilities(2)
1,084 
Total Liabilities$814,515 
———————
(1)Net of the General CECL Allowance of $6.1 million.
(2)Represents General CECL Allowance related to unfunded commitments on commercial mortgage loans, net of $0.3 million.
Three months ended
September 30, 2020
Net Interest Income:
Interest income from commercial mortgage loans$15,075 
Interest expense(4,278)
Net interest income$10,797 
Provision for loan losses and impairments$(2,318)
Foreign currency gain 17,078
Net Income$25,557 

As of September 30, 2020, we had $813.6 million (£518.6 million and €122.5 million assuming conversion into USD) of borrowings outstanding under the Barclays Private Securitization secured by certain of our commercial mortgage loans.
At September 30, 2020, our borrowings had the following remaining maturities ($ in thousands):
Less than
1 year		1 to 3
years		3 to 5
years		More than
5 years		Total
JPMorgan$45,918 $432,440 $678,907 $— $1,157,265 
DB15,594 511,149 — — 526,743 
Goldman— 362,139 — — 362,139 
CS - USD94,299 146,994 137,488 — 378,781 
HSBC - USD47,223 — — — 47,223 
HSBC - EUR157,148 — — — 157,148 
Barclays - USD— — 35,192 — 35,192 
Barclays Private Securitization 143,568 289,769 380,255 — 813,592 
Total$503,750 $1,742,491 $1,231,842 $— $3,478,083 

The table above reflects the fully extended maturity date of the facility and assumes facilities with an "evergreen" feature continue to extend through the fully-extended maturity of the underlying asset and assumes underlying loans are extended with consent of financing providers.
The table below summarizes the outstanding balances at September 30, 2020, as well as the maximum and average month-end balances for the nine months ended September 30, 2020 for our borrowings under secured debt arrangements ($ in thousands).
As of September 30, 2020For the nine months ended September 30, 2020
 BalanceAmortized Cost of Collateral Maximum Month-End
Balance		Average Month-End
Balance
JPMorgan$1,157,265 $1,976,965 $1,192,288 $1,106,461 
DB526,743 804,835 526,743 501,470 
Goldman362,139 548,671 362,139 343,882 
CS - USD378,781 523,272 378,781 339,425 
CS - GBP— — 90,111 57,459 
HSBC - USD47,223 67,203 50,625 48,357 
HSBC - GBP— — 34,500 32,900 
HSBC - EUR157,148 204,040 160,034 152,982 
Barclays - USD35,192 49,929 35,193 27,372 
Barclays - GBP— — 666,810 347,590 
Barclays - EUR— — 180,595 94,028 
Barclays Private Securitization813,592 1,230,305 839,563 814,844 
Total$3,478,083 $5,405,220 
The table below summarizes the outstanding balances at December 31, 2019, as well as the maximum and average month-end balances for the year ended December 31, 2019 for our borrowings under secured debt arrangements ($ in thousands).
As of December 31, 2019For the year ended December 31, 2019
 BalanceAmortized Cost of CollateralMaximum Month-End
Balance		Average Month-End
Balance
JPMorgan$1,234,759 $1,845,400 $1,234,759 $947,400 
DB513,876 766,676 757,117 604,067 
Goldman322,170 513,559 324,821 246,318 
CS - USD218,644 308,884 218,644 182,646 
CS - GBP93,915 129,723 150,811 134,694 
HSBC - USD50,625 66,960 50,625 50,625 
HSBC - GBP34,634 49,976 50,784 42,296 
HSBC - EUR154,037 190,780 154,037 151,889 
Barclays - GBP290,347 738,455 290,347 139,004 
Barclays - EUR182,549 241,674 182,549 181,159 
Total$3,095,556 $4,852,087 
We were in compliance with the covenants under each of our secured debt arrangements at September 30, 2020 and December 31, 2019.